Pricing Chinese Convertible Bonds with Default Intensity by Monte Carlo Method

Table 5

The standard deviation (STD) of the theoretical prices of the CEB and XIG convertible bonds calculated the CS method and the DI method with supposition that a default may occur only on the maturity date (DI1), and prior to or on the maturity (DI2).

	CS	DI1	DI2
CEB	0.0040	0.0037
XIG	0.0073	0.0070	0.0106